Counterparty credit risk
Nomura hires McKinsey to examine Archegos failings
Risk framework under external review as DOJ reportedly opens probe into fund’s collapse
The Texas freeze and future calamities – How to build business resiliency in the face of disruption
Adverse weather in February stressed the Texas power grid to the point of failure, leaving millions without power and resulting in many firms filing for bankruptcy. While this event had some unique circumstances, extreme events are becoming more frequent
Changing derivatives strategies to address the new normal
The events of 2020 have propelled liquidity and collateral management to the top of the priority list for many buy-side organisations. A recent survey by Risk.net and Eurex explores how derivatives strategies are changing in response
Risk management is not a job for compliance
Credit Suisse losses show why boards require real risk management expertise, says ex-BoE supervisor
ECB’s models review heaped €275bn of extra RWAs on banks
Average bank CET1 capital ratio fell 71bp through Trim process
Morgan Stanley’s VAR hit eight-year high in Q1
High risk-of-loss indicator coincides with Archegos collapse
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
What good are risk disclosures anyway?
Regulatory filings and shareholder reports offered no heads-up of Archegos’ troubles
SA-CCR more a burden to Credit Suisse than UBS in 2020
At Credit Suisse, SA-CCR RWAs increased 134%
At Canada’s ‘Big Five’, counterparty and op RWAs grew in 2020
Credit, market RWAs ebbed over the year
Riskiness of internationally-active UK banks edged up in 2020
Risk density across top five UK banks fell year on year
EU banks expect OTC trading conditions to tighten
Credit conditions had eased in Q3 and Q4 2020, but were expected to get tougher in Q1
Swaps, repo counterparties of US banks grew riskier in 2020
At Citi, counterparty credit RWAs for OTC portfolios increased 51%
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Ailing loans added $15bn to StanChart’s RWAs in 2020
Effects of credit deterioration offset by disposals, portfolio reductions
NatWest cut markets unit RWAs by almost one-third in 2020
NatWest Markets now makes up 16% of group RWAs
CVA charges concentrated among top banks in Europe
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks
CVA charges for Canadian dealers edge off Covid highs
At CIBC, CVA charges fell 12% quarter on quarter
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
Citi’s counterparty credit risk edged higher in Q3
Risk-weighted assets for OTC derivatives, repo, margin loans jump 11%
Lloyds’ the outlier as UK banks crush CVA charges in Q3
Aggregate CVA RWAs of top five UK banks fell 21%
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
Barclays’ RWAs shrank on Q3 tailwinds, but loan failures loom
Decline in loan creditworthiness has added £9.8 billion to RWAs year-to-date